Immunotherapy can harness the power of host's immune system to fight cancer. In the last few decades, tremendous progress has been made in this field, with remarkable clinical successes achieved consisting of a durable response in a fraction of patients. However, there are enormous challenges to extending this therapy to the majority of cancer patients while retaining minimal adverse effects. Local immunotherapy is a promising approach for concentrating immunomodulation in situ without systemic exposure, therefore minimizing systemic toxicities. More importantly, local immunomodulation can still lead to systemic effects that confer overall anticancer immunity to eradicate disseminated diseases. To facilitate these local immunotherapies, a wide range of biomaterials have been developed as delivery systems to protect the locally injected immune-related therapeutics and extend their retention. Surgery-free injectable macroscale biomaterials are one of the most promising classes of biomaterials developed to date, as they are suitable for minimally invasive injection with needles or catheters and form a biocompatible three-dimensional matrix in situ as a drug-depot for controlled local delivery. In this mini-review, we provide an overview of the recent advancements in applying injectable macroscale biomaterials in local cancer immunotherapy by highlighting some recent examples. We compare various injectable biomaterials with different gelation mechanisms and discuss their applications in the delivery of immunomodulators, immune cells, and cancer vaccines. We also discuss current challenges and provide a perspective for the future development of injectable macroscale biomaterials in cancer immunotherapy.